Evaluation of the first-passage time probability to a square root boundary for the Wiener process
抄録
<jats:p>This paper gives an asymptotic evaluation of the probability that the Wiener path first crosses a square root boundary. The result is applied to estimate the moments of the first-passage time distribution of the Ornstein–Uhlenbeck process to a constant boundary.</jats:p>
収録刊行物
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- Journal of Applied Probability
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Journal of Applied Probability 14 (4), 850-856, 1977-12
Cambridge University Press (CUP)
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詳細情報 詳細情報について
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- CRID
- 1361137045272535936
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- NII論文ID
- 30022807667
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- DOI
- 10.2307/3213358
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- ISSN
- 14756072
- 00219002
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